Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates

DOI10.2202/1558-3708.1302zbMATH Open1178.91207OpenAlexW2000066870MaRDI QIDQ5452734FDOQ5452734

Authors: Martin Sola, Fabio Spagnolo, Zacharias Psaradakis 

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1302

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Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• An extensive study on Markov switching models with endogenous regressors

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